CQG WebAPI Python Samples

If you are just getting started with the CQG Web API, you may find it helpful to study the basic sample code packages below. Here you will find comments regarding special concepts necessary to working efficiently with the interface. Each sample module demonstrates all the necessary steps to accomplishing its basic function; e.g. all modules include the functions for connecting to the server and logging in with user credentials. Please note these samples stop short of recommending best practices for error handling or memory management.

Introduction

The following samples are included into the package:

File name	Description
1logon.py	Connect to API server and send client message with login credentials
2meta.py	1logon, and send client message to associate symbol with contract id, and get metadata
3session_info.py	1logon, and send session info id received from metadata message
4account.py	1logon, and send client message to receive account information associated with user id
5real_time.py	1logon, 2meta, and send client message to subscribe to real time market data updates
6bar_time.py	1logon, 2meta, and send client message to request bar data starting at specific time
7time_and_sales.py	1logon, 2meta, and send client message to request time and sales data starting at a specific time
8trade_subscription.py	1logon, 2meta, and send client message to subscribe to orders, position, or collateral updates
9orders.py	1logon, 2meta, and send client message to place or modify an order

New requests for algo customers:

File name	Description
entitlements.py	Receive the order entitlement with enabled algo strategies for certain account and contract
algo_strategy.py	Create algo strategies definitions
algo_orders.py	Send algo order requests via WebAPI

How to use

Please follow the steps introduced below to test the samples:

1. In order to use the samples, a user needs to have python 3.x installed
2. In each sample, a user needs to modify the code according to his purpose
3. Open Command Prompt, go to the sample's path, run the command like:

	python 1logon.py
	python 4real_time.py

Package content

\google

Part of Google Protocol Buffers library

\Webapi

File name	Description
account_authorization_2_pb2.py	Messages for accounts that require separate authorization process
api_limit_2_pb2.py	WebAPI limit messages
historical_2_pb2.py	Historical related messages. T&S, TimeBar, NonTimedBar, RenkoBar and so on
instrument_definition_2_pb2.py	Instrument definition messages
market_data_2_pb2.py	Market Data messaging. RealTimeMarketData, DetailedDOM, RFQRequest, OptionCalculationRequest
metadata_2_pb2.py	Public metadata related messages
metadata_admin_2_pb2.py	Metadata administration messages
order_2_pb2.py	Order related messages
otc_1_pb2.py	OTC messages
rules_1_pb2.py	Rules server messages
strategy_2_pb2.py	Strategy related messages
strategy_definition_2_pb2.py	Strategy definition messages
symbol_browsing_2_pb2.py	Symbol related messages
trade_routing_2_pb2.py	Trade Routing messaging
trading_account_2_pb2.py	Trading account related messages
trading_session_2_pb2.py	Trading session related messages
user_attribute_2_pb2.py	User attributes messages
user_session_2_pb2.py	User session level messages
webapi_2_pb2.py	CQG Web API server protocol
webapi_client.py	helper class for connection to WebAPI server
websocket.py	WebSocket client library

\common

File name	Description
decimal_pb2.py	protocol wrapper for Python, compiled from .proto
shared_1_pb2.py	Entities shared between different protocols

\proto

File name	Description
protoc.exe	compiler to convert .proto files to _pb2.py, version 21.2 last upgrade date: 06/24/2022
generater.cmd	double click to generate .py files compiled from protocol files

\proto\common

File name	Description
decimal.proto	decimal numbers wrapper
shared.proto	Entities shared between different protocols

\proto\WebAPI

File name	Description
protocol files	readable description of protocol messages in ProtoBuf format, version 2.87 last upgrade date: 05/18/2022

Notice

When protocol files update, a user may obtain more information from the server by using the updated protocol:

1. Go to this page and open the Production Protocol link
2. Save the protocol files into your proto folder
3. Follow the instruction in ReadMe.txt in proto folder

Contact

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